Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0007
Annualized Std Dev 0.0533
Annualized Sharpe (Rf=0%) 0.0139

Row

Daily Return Statistics

Close
Observations 2910.0000
NAs 1.0000
Minimum -0.1214
Quartile 1 -0.0002
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0002
Maximum 0.1119
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0034
Skewness -3.0445
Kurtosis 1024.4254

Downside Risk

Close
Semi Deviation 0.0024
Gain Deviation 0.0034
Loss Deviation 0.0042
Downside Deviation (MAR=210%) 0.0087
Downside Deviation (Rf=0%) 0.0024
Downside Deviation (0%) 0.0024
Maximum Drawdown 0.1214
Historical VaR (95%) -0.0008
Historical ES (95%) -0.0030
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2008-12-04 2008-12-04 NA -0.1214 2789 1 NA
2008-11-21 2008-12-02 2008-12-03 -0.0339 5 4 1
2008-06-27 2008-09-18 2008-11-17 -0.0094 66 36 30
2008-03-26 2008-04-25 2008-05-14 -0.0062 29 18 11
2008-02-22 2008-02-22 2008-02-27 -0.0018 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA 0 0 0 0.1 0 0 0 0.1 0.1 0 0.1 0.5
2009 0 0 0 0.1 0 0 0 0 0 0 0 0 0.1
2010 0 -0.1 0 0 0 0.2 0 0.1 0 0 0.1 0 0.3
2011 0 -0.1 0.1 0 0.1 0 0 0 -0.1 0.1 0.1 0 0.3
2012 0.1 0 0 0 -0.1 0 0 0 0 -0.1 0.1 0 0.1
2013 -0.1 -0.1 -0.1 -0.1 0 -0.2 -0.1 0 -0.2 -0.1 0 0 -0.9
2014 0 0 0 -0.1 0 -0.1 0 0 0 0 -0.1 -0.1 -0.4
2015 0 0.1 0 -0.1 -0.1 -0.1 0 0 -0.1 0 -0.1 0 -0.4
2016 0 -0.1 -0.1 0 -0.1 0 -0.1 -0.1 0 -0.1 -0.1 0 -0.8
2017 -0.1 -0.1 0.1 -0.1 -0.1 0 -0.1 -0.1 0 0 0 0.1 -0.4
2018 0 0 0 0 0 0 0.1 0 0 0 0 0 0.1
2019 0 0 0 0 0 0 0 0 0 0 0 0 0.2
2020 0 0 0.1 0 0 0 0 0 0 0 0 0 0.2
2021 0 0 0 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart